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Option Price Implied Information and REIT Returns

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896
Author
Jie Cao Bing Han Linjia Song Xintong Zhan
Category
Financial
Date Posted
2022/03/23
Date Retrieved
2022/05/12
Date Revised
2022/03/23
Date Written
2022/03/23
Description
We investigate stock return predictability by various option price-based measures using real estate investment trusts (REITs). REITs are more transparent and efficiently priced than general stocks but REIT options are less liquid. We find that most of the option price-based measures do not significantly forecast REIT stock returns but changes in option implied volatilities are robust and significant return predictors. We provide further evidence supporting the informed trading channel instead of price pressure effects as the explanation for this return predictability.
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JEL Classifications
G12; G14; R30
Keywords
informed trading in options; stock return predictability; real estate investment trusts
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0
Pages
50
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4064915
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